Erhart Szilárd
Joint Research Centre of the European Commission, Competence Centre on Composite Indicators, Via E. Fermi, 2749, 21027 Ispra VA, Italy.
Int Rev Financ Anal. 2022 Oct;83:None. doi: 10.1016/j.irfa.2022.102308.
This paper investigates the environmental, social, and governance (ESG) ratings of 20 leading stock exchange indices by analyzing and aggregating ratings of underlying stocks. ESG ratings are increasingly important inputs to sustainable investments in the European Union and United States with the phasing-in disclosure regulations. We find that ratings from two different rating providers (Sustainalytics and Refinitiv) for the same listed stocks are only weakly correlated, even if the scaling differences of the ratings are adjusted. Monte Carlo simulations are conducted to estimate how the choice of major ESG rating inputs (i) aggregation formula, (ii) weighting scheme and (iii) data provider influence the uncertainty of ratings and thus indirectly the sustainable investment process. The simulations reveal that the uncertainty is primarily related to choice of the ESG rating provider. We found that the popular best-in-class portfolio selection could be built on ESG scores. In lower segments of the ESG asset universe, investment selection becomes more challenging due to the increasing uncertainty of ratings. Finally, the paper shows that exchanges in the European Union provide relatively good ESG investment opportunities in international comparison.
本文通过分析和汇总标的股票的评级，研究了20个主要证券交易所指数的环境、社会和治理（ESG）评级。随着逐步实施的披露法规，ESG评级在欧盟和美国对可持续投资而言日益成为重要的参考依据。我们发现，即使对评级的尺度差异进行了调整，来自两家不同评级机构（Sustainalytics和路孚特）对同一上市股票的评级之间也仅有微弱的相关性。进行了蒙特卡洛模拟，以估计主要ESG评级输入项（i）汇总公式、（ii）加权方案和（iii）数据提供商的选择如何影响评级的不确定性，进而间接影响可持续投资过程。模拟结果表明，不确定性主要与ESG评级机构的选择有关。我们发现，受欢迎的最佳类别投资组合选择可以基于ESG评分构建。在ESG资产领域的较低部分，由于评级不确定性的增加，投资选择变得更具挑战性。最后，本文表明，在国际比较中，欧盟的交易所提供了相对较好的ESG投资机会。
